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<div class="title">ukf_parameter_scalar.h</div>  </div>
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<a href="ukf__parameter__scalar_8h.html">Go to the documentation of this file.</a><div class="fragment"><div class="line"><a name="l00001"></a><span class="lineno">    1</span>&#160;<span class="comment">/* ukf_parameter_scalar.h</span></div>
<div class="line"><a name="l00002"></a><span class="lineno">    2</span>&#160;<span class="comment"> * </span></div>
<div class="line"><a name="l00003"></a><span class="lineno">    3</span>&#160;<span class="comment"> * Copyright (C) 2011-2014 Jeremy Fix</span></div>
<div class="line"><a name="l00004"></a><span class="lineno">    4</span>&#160;<span class="comment"> * </span></div>
<div class="line"><a name="l00005"></a><span class="lineno">    5</span>&#160;<span class="comment"> * This program is free software; you can redistribute it and/or modify</span></div>
<div class="line"><a name="l00006"></a><span class="lineno">    6</span>&#160;<span class="comment"> * it under the terms of the GNU General Public License as published by</span></div>
<div class="line"><a name="l00007"></a><span class="lineno">    7</span>&#160;<span class="comment"> * the Free Software Foundation; either version 3 of the License, or (at</span></div>
<div class="line"><a name="l00008"></a><span class="lineno">    8</span>&#160;<span class="comment"> * your option) any later version.</span></div>
<div class="line"><a name="l00009"></a><span class="lineno">    9</span>&#160;<span class="comment"> * </span></div>
<div class="line"><a name="l00010"></a><span class="lineno">   10</span>&#160;<span class="comment"> * This program is distributed in the hope that it will be useful, but</span></div>
<div class="line"><a name="l00011"></a><span class="lineno">   11</span>&#160;<span class="comment"> * WITHOUT ANY WARRANTY; without even the implied warranty of</span></div>
<div class="line"><a name="l00012"></a><span class="lineno">   12</span>&#160;<span class="comment"> * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU</span></div>
<div class="line"><a name="l00013"></a><span class="lineno">   13</span>&#160;<span class="comment"> * General Public License for more details.</span></div>
<div class="line"><a name="l00014"></a><span class="lineno">   14</span>&#160;<span class="comment"> * </span></div>
<div class="line"><a name="l00015"></a><span class="lineno">   15</span>&#160;<span class="comment"> * You should have received a copy of the GNU General Public License</span></div>
<div class="line"><a name="l00016"></a><span class="lineno">   16</span>&#160;<span class="comment"> * along with this program; if not, write to the Free Software</span></div>
<div class="line"><a name="l00017"></a><span class="lineno">   17</span>&#160;<span class="comment"> * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.</span></div>
<div class="line"><a name="l00018"></a><span class="lineno">   18</span>&#160;<span class="comment"> */</span></div>
<div class="line"><a name="l00019"></a><span class="lineno">   19</span>&#160;</div>
<div class="line"><a name="l00020"></a><span class="lineno">   20</span>&#160;<span class="preprocessor">#ifndef UKF_PARAMETER_SCALAR_H</span></div>
<div class="line"><a name="l00021"></a><span class="lineno">   21</span>&#160;<span class="preprocessor"></span><span class="preprocessor">#define UKF_PARAMETER_SCALAR_H</span></div>
<div class="line"><a name="l00022"></a><span class="lineno">   22</span>&#160;<span class="preprocessor"></span></div>
<div class="line"><a name="l00023"></a><span class="lineno">   23</span>&#160;<span class="preprocessor">#include &lt;gsl/gsl_linalg.h&gt;</span> <span class="comment">// For the Cholesky decomposition</span></div>
<div class="line"><a name="l00024"></a><span class="lineno">   24</span>&#160;<span class="preprocessor">#include &lt;gsl/gsl_math.h&gt;</span></div>
<div class="line"><a name="l00025"></a><span class="lineno">   25</span>&#160;<span class="preprocessor">#include &lt;gsl/gsl_blas.h&gt;</span></div>
<div class="line"><a name="l00026"></a><span class="lineno">   26</span>&#160;</div>
<div class="line"><a name="l00027"></a><span class="lineno">   27</span>&#160;<span class="preprocessor">#include &quot;<a class="code" href="ukf__types_8h.html">ukf_types.h</a>&quot;</span></div>
<div class="line"><a name="l00028"></a><span class="lineno">   28</span>&#160;<span class="preprocessor">#include &quot;<a class="code" href="ukf__math_8h.html">ukf_math.h</a>&quot;</span></div>
<div class="line"><a name="l00029"></a><span class="lineno">   29</span>&#160;</div>
<div class="line"><a name="l00030"></a><span class="lineno">   30</span>&#160;<span class="keyword">namespace </span>ukf</div>
<div class="line"><a name="l00031"></a><span class="lineno">   31</span>&#160;{</div>
<div class="line"><a name="l00036"></a><span class="lineno">   36</span>&#160;    <span class="keyword">namespace </span>parameter</div>
<div class="line"><a name="l00037"></a><span class="lineno">   37</span>&#160;    {</div>
<div class="line"><a name="l00042"></a><span class="lineno"><a class="line" href="namespaceukf_1_1parameter.html#a4f5d4fb6f2a2be962a1528a40f8c9562">   42</a></span>&#160;        <span class="keyword">inline</span> <span class="keywordtype">void</span> <a class="code" href="namespaceukf_1_1parameter.html#a4f5d4fb6f2a2be962a1528a40f8c9562">ukf_scalar_init</a>(<a class="code" href="structukf_1_1parameter_1_1ukf__param.html">ukf_param</a> &amp;p, <a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html">ukf_scalar_state</a> &amp;s)</div>
<div class="line"><a name="l00043"></a><span class="lineno">   43</span>&#160;        {</div>
<div class="line"><a name="l00044"></a><span class="lineno">   44</span>&#160;            <span class="comment">// Init the lambda</span></div>
<div class="line"><a name="l00045"></a><span class="lineno">   45</span>&#160;            p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a989e990467f45b35957f7db9bd40a5e0">lambda</a> = p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a41e15863dacadc709c856810fec793da">alpha</a> * p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a41e15863dacadc709c856810fec793da">alpha</a> * (p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> + p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a6226f46479a98fdeb1321d49680e76ed">kpa</a>) - p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>;</div>
<div class="line"><a name="l00046"></a><span class="lineno">   46</span>&#160;            p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a6970c2f5c4289c9fa1fe95d83b69e579">gamma</a> = sqrt(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> + p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a989e990467f45b35957f7db9bd40a5e0">lambda</a>);</div>
<div class="line"><a name="l00047"></a><span class="lineno">   47</span>&#160;            p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#adf4a8620c9c81e339861b1c8a40f8809">nbSamples</a> = 2 * p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> + 1;</div>
<div class="line"><a name="l00048"></a><span class="lineno">   48</span>&#160;</div>
<div class="line"><a name="l00049"></a><span class="lineno">   49</span>&#160;            <span class="comment">// Init the matrices used to iterate</span></div>
<div class="line"><a name="l00050"></a><span class="lineno">   50</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a38805bd633ec390fdb6486bc7389ca57">Kk</a> = gsl_vector_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>); <span class="comment">// Kalman gain</span></div>
<div class="line"><a name="l00051"></a><span class="lineno">   51</span>&#160;            gsl_vector_set_zero(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a38805bd633ec390fdb6486bc7389ca57">Kk</a>);</div>
<div class="line"><a name="l00052"></a><span class="lineno">   52</span>&#160;</div>
<div class="line"><a name="l00053"></a><span class="lineno">   53</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#af6086947a5a8f78a95aa3516e18c7294">Kk_mat</a> = gsl_matrix_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>,1);</div>
<div class="line"><a name="l00054"></a><span class="lineno">   54</span>&#160;            gsl_matrix_set_zero(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#af6086947a5a8f78a95aa3516e18c7294">Kk_mat</a>);</div>
<div class="line"><a name="l00055"></a><span class="lineno">   55</span>&#160;</div>
<div class="line"><a name="l00056"></a><span class="lineno">   56</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3a69fb0e46993d5c5cbde4dee44e2c8f">Kk_mat_T</a> = gsl_matrix_alloc(1,p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>);</div>
<div class="line"><a name="l00057"></a><span class="lineno">   57</span>&#160;            gsl_matrix_set_zero(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3a69fb0e46993d5c5cbde4dee44e2c8f">Kk_mat_T</a>);</div>
<div class="line"><a name="l00058"></a><span class="lineno">   58</span>&#160;</div>
<div class="line"><a name="l00059"></a><span class="lineno">   59</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#accb6e58e82a745f2292a5cb7ffef663d">Pwdk</a> = gsl_vector_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>); <span class="comment">// Covariance of the parameters and output</span></div>
<div class="line"><a name="l00060"></a><span class="lineno">   60</span>&#160;            gsl_vector_set_zero(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#accb6e58e82a745f2292a5cb7ffef663d">Pwdk</a>);</div>
<div class="line"><a name="l00061"></a><span class="lineno">   61</span>&#160;</div>
<div class="line"><a name="l00062"></a><span class="lineno">   62</span>&#160;            <span class="comment">// Whatever the type of evolution noise, its covariance is set to evolution_noise</span></div>
<div class="line"><a name="l00063"></a><span class="lineno">   63</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#aac9cf03ea34ad6cbe04c56143e16d38d">Prrk</a> = gsl_matrix_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>,p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>);</div>
<div class="line"><a name="l00064"></a><span class="lineno">   64</span>&#160;            p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a84f1c71ab2cd9fc6063790e9942637bd">evolution_noise</a>-&gt;<a class="code" href="classukf_1_1parameter_1_1EvolutionNoise.html#a2a855aa21905c741e7a97661d06d692b">init</a>(p,s);</div>
<div class="line"><a name="l00065"></a><span class="lineno">   65</span>&#160;</div>
<div class="line"><a name="l00066"></a><span class="lineno">   66</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a5b8734c808816fa4535dbb596add9fa5">Peek</a> = p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#ade187fc4a6cf6c6e9a1fcb5cf8898985">observation_noise</a>; <span class="comment">// Covariance of the observation noise</span></div>
<div class="line"><a name="l00067"></a><span class="lineno">   67</span>&#160;</div>
<div class="line"><a name="l00068"></a><span class="lineno">   68</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a7d0a7fe12af4c2f62856e39a04b837f3">Pddk</a> = 0.0; <span class="comment">// Covariance of the output</span></div>
<div class="line"><a name="l00069"></a><span class="lineno">   69</span>&#160;</div>
<div class="line"><a name="l00070"></a><span class="lineno">   70</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a8c307cba37cbabda94b66ab911e14122">w</a> = gsl_vector_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>); <span class="comment">// Parameter vector</span></div>
<div class="line"><a name="l00071"></a><span class="lineno">   71</span>&#160;            gsl_vector_set_zero(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a8c307cba37cbabda94b66ab911e14122">w</a>);</div>
<div class="line"><a name="l00072"></a><span class="lineno">   72</span>&#160;</div>
<div class="line"><a name="l00073"></a><span class="lineno">   73</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1700b94e574aa8422d87f9ba6ecb9ac5">wk</a> = gsl_vector_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>); <span class="comment">// Vector holding one sigma point</span></div>
<div class="line"><a name="l00074"></a><span class="lineno">   74</span>&#160;            gsl_vector_set_zero(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1700b94e574aa8422d87f9ba6ecb9ac5">wk</a>);</div>
<div class="line"><a name="l00075"></a><span class="lineno">   75</span>&#160;</div>
<div class="line"><a name="l00076"></a><span class="lineno">   76</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a76c3898aa1b1d0957f3d483e7bb738f4">Pk</a> = gsl_matrix_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>,p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>); <span class="comment">// Covariance matrix</span></div>
<div class="line"><a name="l00077"></a><span class="lineno">   77</span>&#160;            gsl_matrix_set_identity(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a76c3898aa1b1d0957f3d483e7bb738f4">Pk</a>);</div>
<div class="line"><a name="l00078"></a><span class="lineno">   78</span>&#160;            gsl_matrix_scale(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a76c3898aa1b1d0957f3d483e7bb738f4">Pk</a>,p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a898c9583fba45551ae39213dd2b212ba">prior_pi</a>);</div>
<div class="line"><a name="l00079"></a><span class="lineno">   79</span>&#160;</div>
<div class="line"><a name="l00080"></a><span class="lineno">   80</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a07ddb2ac7ff30dbce761ffc75abf7c16">Sk</a> = gsl_matrix_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>,p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>); <span class="comment">// Matrix holding the cholesky decomposition of Pk</span></div>
<div class="line"><a name="l00081"></a><span class="lineno">   81</span>&#160;            <span class="comment">// Initialize Sk to the cholesky decomposition of Pk</span></div>
<div class="line"><a name="l00082"></a><span class="lineno">   82</span>&#160;            gsl_matrix_memcpy(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a07ddb2ac7ff30dbce761ffc75abf7c16">Sk</a>, s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a76c3898aa1b1d0957f3d483e7bb738f4">Pk</a>);</div>
<div class="line"><a name="l00083"></a><span class="lineno">   83</span>&#160;            gsl_linalg_cholesky_decomp(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a07ddb2ac7ff30dbce761ffc75abf7c16">Sk</a>);</div>
<div class="line"><a name="l00084"></a><span class="lineno">   84</span>&#160;            <span class="comment">// Set all the elements of Lpi strictly above the diagonal to zero</span></div>
<div class="line"><a name="l00085"></a><span class="lineno">   85</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> k = 0 ; k &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> ; k++)</div>
<div class="line"><a name="l00086"></a><span class="lineno">   86</span>&#160;                <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = 0 ; j &lt; k ; j++)</div>
<div class="line"><a name="l00087"></a><span class="lineno">   87</span>&#160;                    gsl_matrix_set(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a07ddb2ac7ff30dbce761ffc75abf7c16">Sk</a>,j,k,0.0);</div>
<div class="line"><a name="l00088"></a><span class="lineno">   88</span>&#160;</div>
<div class="line"><a name="l00089"></a><span class="lineno">   89</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a75661c414eec01eaea6912dd3518da94">cSk</a> = gsl_vector_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>); <span class="comment">// Vector holding one column of Lpi</span></div>
<div class="line"><a name="l00090"></a><span class="lineno">   90</span>&#160;            gsl_vector_set_zero(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a75661c414eec01eaea6912dd3518da94">cSk</a>);</div>
<div class="line"><a name="l00091"></a><span class="lineno">   91</span>&#160;</div>
<div class="line"><a name="l00092"></a><span class="lineno">   92</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a031c486f1321fbbe7c7fd5b5f47f37e8">wm</a>  = gsl_vector_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#adf4a8620c9c81e339861b1c8a40f8809">nbSamples</a>); <span class="comment">// Weights used to compute the mean of the sigma points images</span></div>
<div class="line"><a name="l00093"></a><span class="lineno">   93</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a62efc5e8af8f11b1e149f59494b55725">wc</a> = gsl_vector_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#adf4a8620c9c81e339861b1c8a40f8809">nbSamples</a>); <span class="comment">// Weights used to update the covariance matrices</span></div>
<div class="line"><a name="l00094"></a><span class="lineno">   94</span>&#160;</div>
<div class="line"><a name="l00095"></a><span class="lineno">   95</span>&#160;            <span class="comment">// Set the weights</span></div>
<div class="line"><a name="l00096"></a><span class="lineno">   96</span>&#160;            gsl_vector_set(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a031c486f1321fbbe7c7fd5b5f47f37e8">wm</a>, 0, p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a989e990467f45b35957f7db9bd40a5e0">lambda</a> / (p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> + p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a989e990467f45b35957f7db9bd40a5e0">lambda</a>));</div>
<div class="line"><a name="l00097"></a><span class="lineno">   97</span>&#160;            gsl_vector_set(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a62efc5e8af8f11b1e149f59494b55725">wc</a>, 0, p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a989e990467f45b35957f7db9bd40a5e0">lambda</a> / (p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> + p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a989e990467f45b35957f7db9bd40a5e0">lambda</a>) + (1.0 - p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a41e15863dacadc709c856810fec793da">alpha</a>*p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a41e15863dacadc709c856810fec793da">alpha</a> + p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a3afc7edee6fb3dd28849f2219c079b30">beta</a>));</div>
<div class="line"><a name="l00098"></a><span class="lineno">   98</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = 1 ; j &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#adf4a8620c9c81e339861b1c8a40f8809">nbSamples</a>; j ++)</div>
<div class="line"><a name="l00099"></a><span class="lineno">   99</span>&#160;            {</div>
<div class="line"><a name="l00100"></a><span class="lineno">  100</span>&#160;                gsl_vector_set(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a031c486f1321fbbe7c7fd5b5f47f37e8">wm</a>, j, 1.0 / (2.0 * (p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> + p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a989e990467f45b35957f7db9bd40a5e0">lambda</a>)));</div>
<div class="line"><a name="l00101"></a><span class="lineno">  101</span>&#160;                gsl_vector_set(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a62efc5e8af8f11b1e149f59494b55725">wc</a>, j, 1.0 / (2.0 * (p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> + p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a989e990467f45b35957f7db9bd40a5e0">lambda</a>)));</div>
<div class="line"><a name="l00102"></a><span class="lineno">  102</span>&#160;            }</div>
<div class="line"><a name="l00103"></a><span class="lineno">  103</span>&#160;</div>
<div class="line"><a name="l00104"></a><span class="lineno">  104</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a620c64bdfb59efd6f265c3c4f2422b6b">dk</a> = gsl_vector_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#adf4a8620c9c81e339861b1c8a40f8809">nbSamples</a>); <span class="comment">// Holds the image of the sigma points</span></div>
<div class="line"><a name="l00105"></a><span class="lineno">  105</span>&#160;            gsl_vector_set_zero(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a620c64bdfb59efd6f265c3c4f2422b6b">dk</a>);</div>
<div class="line"><a name="l00106"></a><span class="lineno">  106</span>&#160;</div>
<div class="line"><a name="l00107"></a><span class="lineno">  107</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#ad5f0278cb96be7b6e35fc7dc797017d9">d_mean</a> = 0; <span class="comment">// Holds the mean of the sigma points images</span></div>
<div class="line"><a name="l00108"></a><span class="lineno">  108</span>&#160;</div>
<div class="line"><a name="l00109"></a><span class="lineno">  109</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1cadccc5a4ad055f778de024eb0ba206">sigmaPoints</a> = gsl_matrix_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>,p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#adf4a8620c9c81e339861b1c8a40f8809">nbSamples</a>); <span class="comment">// Holds the sigma points in the columns</span></div>
<div class="line"><a name="l00110"></a><span class="lineno">  110</span>&#160;            gsl_matrix_set_zero(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1cadccc5a4ad055f778de024eb0ba206">sigmaPoints</a>);</div>
<div class="line"><a name="l00111"></a><span class="lineno">  111</span>&#160;</div>
<div class="line"><a name="l00112"></a><span class="lineno">  112</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1d47ad23b7280b0a73170d19628ecdde">temp_n</a> = gsl_vector_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>);</div>
<div class="line"><a name="l00113"></a><span class="lineno">  113</span>&#160;            gsl_vector_set_zero(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1d47ad23b7280b0a73170d19628ecdde">temp_n</a>);</div>
<div class="line"><a name="l00114"></a><span class="lineno">  114</span>&#160;</div>
<div class="line"><a name="l00115"></a><span class="lineno">  115</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3cdfb50a225e11f42fa4efaa99e80e6b">temp_n_n</a> = gsl_matrix_alloc(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>,p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>);</div>
<div class="line"><a name="l00116"></a><span class="lineno">  116</span>&#160;            gsl_matrix_set_zero(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3cdfb50a225e11f42fa4efaa99e80e6b">temp_n_n</a>);</div>
<div class="line"><a name="l00117"></a><span class="lineno">  117</span>&#160;        }</div>
<div class="line"><a name="l00118"></a><span class="lineno">  118</span>&#160;</div>
<div class="line"><a name="l00123"></a><span class="lineno"><a class="line" href="namespaceukf_1_1parameter.html#a18d91f67e6de67928a223b50950ffdae">  123</a></span>&#160;        <span class="keyword">inline</span> <span class="keywordtype">void</span> <a class="code" href="namespaceukf_1_1parameter.html#a18d91f67e6de67928a223b50950ffdae">ukf_scalar_free</a>(<a class="code" href="structukf_1_1parameter_1_1ukf__param.html">ukf_param</a> &amp;p, <a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html">ukf_scalar_state</a> &amp;s)</div>
<div class="line"><a name="l00124"></a><span class="lineno">  124</span>&#160;        {</div>
<div class="line"><a name="l00125"></a><span class="lineno">  125</span>&#160;            gsl_vector_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a38805bd633ec390fdb6486bc7389ca57">Kk</a>);</div>
<div class="line"><a name="l00126"></a><span class="lineno">  126</span>&#160;            gsl_matrix_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#af6086947a5a8f78a95aa3516e18c7294">Kk_mat</a>);</div>
<div class="line"><a name="l00127"></a><span class="lineno">  127</span>&#160;            gsl_matrix_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3a69fb0e46993d5c5cbde4dee44e2c8f">Kk_mat_T</a>);</div>
<div class="line"><a name="l00128"></a><span class="lineno">  128</span>&#160;            gsl_vector_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#accb6e58e82a745f2292a5cb7ffef663d">Pwdk</a>);</div>
<div class="line"><a name="l00129"></a><span class="lineno">  129</span>&#160;            gsl_matrix_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#aac9cf03ea34ad6cbe04c56143e16d38d">Prrk</a>);</div>
<div class="line"><a name="l00130"></a><span class="lineno">  130</span>&#160;</div>
<div class="line"><a name="l00131"></a><span class="lineno">  131</span>&#160;            gsl_vector_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a8c307cba37cbabda94b66ab911e14122">w</a>);</div>
<div class="line"><a name="l00132"></a><span class="lineno">  132</span>&#160;            gsl_vector_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1700b94e574aa8422d87f9ba6ecb9ac5">wk</a>);</div>
<div class="line"><a name="l00133"></a><span class="lineno">  133</span>&#160;</div>
<div class="line"><a name="l00134"></a><span class="lineno">  134</span>&#160;            gsl_matrix_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a76c3898aa1b1d0957f3d483e7bb738f4">Pk</a>);</div>
<div class="line"><a name="l00135"></a><span class="lineno">  135</span>&#160;            gsl_matrix_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a07ddb2ac7ff30dbce761ffc75abf7c16">Sk</a>);</div>
<div class="line"><a name="l00136"></a><span class="lineno">  136</span>&#160;            gsl_vector_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a75661c414eec01eaea6912dd3518da94">cSk</a>);</div>
<div class="line"><a name="l00137"></a><span class="lineno">  137</span>&#160;</div>
<div class="line"><a name="l00138"></a><span class="lineno">  138</span>&#160;            gsl_vector_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a031c486f1321fbbe7c7fd5b5f47f37e8">wm</a>);</div>
<div class="line"><a name="l00139"></a><span class="lineno">  139</span>&#160;            gsl_vector_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a62efc5e8af8f11b1e149f59494b55725">wc</a>);</div>
<div class="line"><a name="l00140"></a><span class="lineno">  140</span>&#160;</div>
<div class="line"><a name="l00141"></a><span class="lineno">  141</span>&#160;            gsl_vector_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a620c64bdfb59efd6f265c3c4f2422b6b">dk</a>);</div>
<div class="line"><a name="l00142"></a><span class="lineno">  142</span>&#160;</div>
<div class="line"><a name="l00143"></a><span class="lineno">  143</span>&#160;            gsl_matrix_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1cadccc5a4ad055f778de024eb0ba206">sigmaPoints</a>);</div>
<div class="line"><a name="l00144"></a><span class="lineno">  144</span>&#160;</div>
<div class="line"><a name="l00145"></a><span class="lineno">  145</span>&#160;            gsl_vector_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1d47ad23b7280b0a73170d19628ecdde">temp_n</a>);</div>
<div class="line"><a name="l00146"></a><span class="lineno">  146</span>&#160;            gsl_matrix_free(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3cdfb50a225e11f42fa4efaa99e80e6b">temp_n_n</a>);</div>
<div class="line"><a name="l00147"></a><span class="lineno">  147</span>&#160;        }</div>
<div class="line"><a name="l00148"></a><span class="lineno">  148</span>&#160;</div>
<div class="line"><a name="l00153"></a><span class="lineno">  153</span>&#160;        <span class="keyword">template</span> &lt;<span class="keyword">typename</span> FunctObj&gt;</div>
<div class="line"><a name="l00154"></a><span class="lineno"><a class="line" href="namespaceukf_1_1parameter.html#ae4830e1c0b576662494d63623dcf59dc">  154</a></span>&#160;        <span class="keyword">inline</span> <span class="keywordtype">void</span> <a class="code" href="namespaceukf_1_1parameter.html#ae4830e1c0b576662494d63623dcf59dc">ukf_scalar_iterate</a>(<a class="code" href="structukf_1_1parameter_1_1ukf__param.html">ukf_param</a> &amp;p, <a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html">ukf_scalar_state</a> &amp;s, FunctObj g, gsl_vector * xk, <span class="keywordtype">double</span> dk)</div>
<div class="line"><a name="l00155"></a><span class="lineno">  155</span>&#160;        {</div>
<div class="line"><a name="l00156"></a><span class="lineno">  156</span>&#160;            <span class="comment">// Here, we implement the UKF for parameter estimation in the scalar case</span></div>
<div class="line"><a name="l00157"></a><span class="lineno">  157</span>&#160;            <span class="comment">// The notations follow p93 of the PhD thesis of Van Der Merwe, &quot;Sigma-Point Kalman Filters for Probabilistic Inference in Dynamic State-Space Models&quot;</span></div>
<div class="line"><a name="l00158"></a><span class="lineno">  158</span>&#160;</div>
<div class="line"><a name="l00159"></a><span class="lineno">  159</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00160"></a><span class="lineno">  160</span>&#160;            <span class="comment">// ************ Time update equations    ************ //</span></div>
<div class="line"><a name="l00161"></a><span class="lineno">  161</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00162"></a><span class="lineno">  162</span>&#160;            <span class="comment">// Add the evolution noise to the parameter covariance Eq 3.137</span></div>
<div class="line"><a name="l00163"></a><span class="lineno">  163</span>&#160;            gsl_matrix_add(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a76c3898aa1b1d0957f3d483e7bb738f4">Pk</a>, s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#aac9cf03ea34ad6cbe04c56143e16d38d">Prrk</a>);</div>
<div class="line"><a name="l00164"></a><span class="lineno">  164</span>&#160;</div>
<div class="line"><a name="l00165"></a><span class="lineno">  165</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00166"></a><span class="lineno">  166</span>&#160;            <span class="comment">// ************ Compute the sigma points ************ //</span></div>
<div class="line"><a name="l00167"></a><span class="lineno">  167</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00168"></a><span class="lineno">  168</span>&#160;            <span class="comment">// Equations 3.138</span></div>
<div class="line"><a name="l00169"></a><span class="lineno">  169</span>&#160;            <span class="comment">// w_k^j = w_(k-1)  &lt;-- this is here denoted s.w</span></div>
<div class="line"><a name="l00170"></a><span class="lineno">  170</span>&#160;            <span class="comment">// w_k^j = w_(k-1) + gamma Sk_j for 1 &lt;= j &lt;= n</span></div>
<div class="line"><a name="l00171"></a><span class="lineno">  171</span>&#160;            <span class="comment">// w_k^j = w_(k-1) - gamma Sk_j for n+1 &lt;= j &lt;= 2n</span></div>
<div class="line"><a name="l00172"></a><span class="lineno">  172</span>&#160;</div>
<div class="line"><a name="l00173"></a><span class="lineno">  173</span>&#160;            <span class="comment">// Perform a cholesky decomposition of Pk</span></div>
<div class="line"><a name="l00174"></a><span class="lineno">  174</span>&#160;            gsl_matrix_memcpy(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a07ddb2ac7ff30dbce761ffc75abf7c16">Sk</a>, s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a76c3898aa1b1d0957f3d483e7bb738f4">Pk</a>);</div>
<div class="line"><a name="l00175"></a><span class="lineno">  175</span>&#160;            gsl_linalg_cholesky_decomp(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a07ddb2ac7ff30dbce761ffc75abf7c16">Sk</a>);</div>
<div class="line"><a name="l00176"></a><span class="lineno">  176</span>&#160;            <span class="comment">// Set all the elements of Lpi strictly above the diagonal to zero</span></div>
<div class="line"><a name="l00177"></a><span class="lineno">  177</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> k = 0 ; k &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> ; k++)</div>
<div class="line"><a name="l00178"></a><span class="lineno">  178</span>&#160;                <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = 0 ; j &lt; k ; j++)</div>
<div class="line"><a name="l00179"></a><span class="lineno">  179</span>&#160;                    gsl_matrix_set(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a07ddb2ac7ff30dbce761ffc75abf7c16">Sk</a>,j,k,0.0);</div>
<div class="line"><a name="l00180"></a><span class="lineno">  180</span>&#160;</div>
<div class="line"><a name="l00181"></a><span class="lineno">  181</span>&#160;            gsl_matrix_set_col(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1cadccc5a4ad055f778de024eb0ba206">sigmaPoints</a>,0, s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a8c307cba37cbabda94b66ab911e14122">w</a>);</div>
<div class="line"><a name="l00182"></a><span class="lineno">  182</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = 1 ; j &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>+1 ; ++j)</div>
<div class="line"><a name="l00183"></a><span class="lineno">  183</span>&#160;                <span class="keywordflow">for</span>(<span class="keywordtype">int</span> i = 0 ; i &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> ; ++i)</div>
<div class="line"><a name="l00184"></a><span class="lineno">  184</span>&#160;                    gsl_matrix_set(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1cadccc5a4ad055f778de024eb0ba206">sigmaPoints</a>, i, j, gsl_vector_get(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a8c307cba37cbabda94b66ab911e14122">w</a>, i) + p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a6970c2f5c4289c9fa1fe95d83b69e579">gamma</a> * gsl_matrix_get(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a07ddb2ac7ff30dbce761ffc75abf7c16">Sk</a>,i,j-1));</div>
<div class="line"><a name="l00185"></a><span class="lineno">  185</span>&#160;</div>
<div class="line"><a name="l00186"></a><span class="lineno">  186</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>+1 ; j &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#adf4a8620c9c81e339861b1c8a40f8809">nbSamples</a> ; ++j)</div>
<div class="line"><a name="l00187"></a><span class="lineno">  187</span>&#160;                <span class="keywordflow">for</span>(<span class="keywordtype">int</span> i = 0 ; i &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> ; ++i)</div>
<div class="line"><a name="l00188"></a><span class="lineno">  188</span>&#160;                    gsl_matrix_set(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1cadccc5a4ad055f778de024eb0ba206">sigmaPoints</a>, i, j, gsl_vector_get(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a8c307cba37cbabda94b66ab911e14122">w</a>, i) - p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a6970c2f5c4289c9fa1fe95d83b69e579">gamma</a> * gsl_matrix_get(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a07ddb2ac7ff30dbce761ffc75abf7c16">Sk</a>,i,j-(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>+1)));</div>
<div class="line"><a name="l00189"></a><span class="lineno">  189</span>&#160;</div>
<div class="line"><a name="l00190"></a><span class="lineno">  190</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00191"></a><span class="lineno">  191</span>&#160;            <span class="comment">// ***** Compute the images of the sigma points ***** //</span></div>
<div class="line"><a name="l00192"></a><span class="lineno">  192</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00193"></a><span class="lineno">  193</span>&#160;</div>
<div class="line"><a name="l00194"></a><span class="lineno">  194</span>&#160;            <span class="comment">// Compute the images of the sigma points</span></div>
<div class="line"><a name="l00195"></a><span class="lineno">  195</span>&#160;            <span class="comment">// and the mean of the yj</span></div>
<div class="line"><a name="l00196"></a><span class="lineno">  196</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#ad5f0278cb96be7b6e35fc7dc797017d9">d_mean</a> = 0.0;</div>
<div class="line"><a name="l00197"></a><span class="lineno">  197</span>&#160;            gsl_vector_set_zero(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a620c64bdfb59efd6f265c3c4f2422b6b">dk</a>);</div>
<div class="line"><a name="l00198"></a><span class="lineno">  198</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = 0 ; j &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#adf4a8620c9c81e339861b1c8a40f8809">nbSamples</a> ; j++)</div>
<div class="line"><a name="l00199"></a><span class="lineno">  199</span>&#160;            {</div>
<div class="line"><a name="l00200"></a><span class="lineno">  200</span>&#160;                <span class="comment">// Equation 3.139</span></div>
<div class="line"><a name="l00201"></a><span class="lineno">  201</span>&#160;                gsl_matrix_get_col(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1700b94e574aa8422d87f9ba6ecb9ac5">wk</a>, s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1cadccc5a4ad055f778de024eb0ba206">sigmaPoints</a>,j);</div>
<div class="line"><a name="l00202"></a><span class="lineno">  202</span>&#160;                s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a620c64bdfb59efd6f265c3c4f2422b6b">dk</a>-&gt;data[j] = g(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1700b94e574aa8422d87f9ba6ecb9ac5">wk</a>,xk);</div>
<div class="line"><a name="l00203"></a><span class="lineno">  203</span>&#160;</div>
<div class="line"><a name="l00204"></a><span class="lineno">  204</span>&#160;                <span class="comment">// Update the mean : y_mean = sum_[j=0..2n] wm_j y_j</span></div>
<div class="line"><a name="l00205"></a><span class="lineno">  205</span>&#160;                <span class="comment">// Equation 3.140</span></div>
<div class="line"><a name="l00206"></a><span class="lineno">  206</span>&#160;                s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#ad5f0278cb96be7b6e35fc7dc797017d9">d_mean</a> += s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a031c486f1321fbbe7c7fd5b5f47f37e8">wm</a>-&gt;data[j] * s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a620c64bdfb59efd6f265c3c4f2422b6b">dk</a>-&gt;data[j];</div>
<div class="line"><a name="l00207"></a><span class="lineno">  207</span>&#160;            }</div>
<div class="line"><a name="l00208"></a><span class="lineno">  208</span>&#160;</div>
<div class="line"><a name="l00209"></a><span class="lineno">  209</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00210"></a><span class="lineno">  210</span>&#160;            <span class="comment">// ************** Update the statistics ************* //</span></div>
<div class="line"><a name="l00211"></a><span class="lineno">  211</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00212"></a><span class="lineno">  212</span>&#160;</div>
<div class="line"><a name="l00213"></a><span class="lineno">  213</span>&#160;            gsl_vector_set_zero(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#accb6e58e82a745f2292a5cb7ffef663d">Pwdk</a>);</div>
<div class="line"><a name="l00214"></a><span class="lineno">  214</span>&#160;            <span class="comment">// The covariance of the output is initialized with the observation noise covariance</span></div>
<div class="line"><a name="l00215"></a><span class="lineno">  215</span>&#160;            <span class="comment">// Eq 3.142</span></div>
<div class="line"><a name="l00216"></a><span class="lineno">  216</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a7d0a7fe12af4c2f62856e39a04b837f3">Pddk</a> = s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a5b8734c808816fa4535dbb596add9fa5">Peek</a>;</div>
<div class="line"><a name="l00217"></a><span class="lineno">  217</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = 0 ; j &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#adf4a8620c9c81e339861b1c8a40f8809">nbSamples</a> ; j++)</div>
<div class="line"><a name="l00218"></a><span class="lineno">  218</span>&#160;            {</div>
<div class="line"><a name="l00219"></a><span class="lineno">  219</span>&#160;                <span class="comment">// Eq 3.142</span></div>
<div class="line"><a name="l00220"></a><span class="lineno">  220</span>&#160;                s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a7d0a7fe12af4c2f62856e39a04b837f3">Pddk</a> += s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a62efc5e8af8f11b1e149f59494b55725">wc</a>-&gt;data[j] * gsl_pow_2(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a620c64bdfb59efd6f265c3c4f2422b6b">dk</a>-&gt;data[j] - s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#ad5f0278cb96be7b6e35fc7dc797017d9">d_mean</a>);</div>
<div class="line"><a name="l00221"></a><span class="lineno">  221</span>&#160;                <span class="comment">// Eq 3.143</span></div>
<div class="line"><a name="l00222"></a><span class="lineno">  222</span>&#160;                <span class="keywordflow">for</span>(<span class="keywordtype">int</span> i = 0 ; i &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> ; ++i)</div>
<div class="line"><a name="l00223"></a><span class="lineno">  223</span>&#160;                {</div>
<div class="line"><a name="l00224"></a><span class="lineno">  224</span>&#160;                    s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#accb6e58e82a745f2292a5cb7ffef663d">Pwdk</a>-&gt;data[i] = s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#accb6e58e82a745f2292a5cb7ffef663d">Pwdk</a>-&gt;data[i] + s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a62efc5e8af8f11b1e149f59494b55725">wc</a>-&gt;data[j] * (gsl_matrix_get(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1cadccc5a4ad055f778de024eb0ba206">sigmaPoints</a>,i,j) - s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a8c307cba37cbabda94b66ab911e14122">w</a>-&gt;data[i]) * (s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a620c64bdfb59efd6f265c3c4f2422b6b">dk</a>-&gt;data[j] - s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#ad5f0278cb96be7b6e35fc7dc797017d9">d_mean</a>) ;</div>
<div class="line"><a name="l00225"></a><span class="lineno">  225</span>&#160;                }</div>
<div class="line"><a name="l00226"></a><span class="lineno">  226</span>&#160;            }</div>
<div class="line"><a name="l00227"></a><span class="lineno">  227</span>&#160;</div>
<div class="line"><a name="l00228"></a><span class="lineno">  228</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00229"></a><span class="lineno">  229</span>&#160;            <span class="comment">// ******* Kalman gain and parameters update ******** //</span></div>
<div class="line"><a name="l00230"></a><span class="lineno">  230</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00231"></a><span class="lineno">  231</span>&#160;</div>
<div class="line"><a name="l00232"></a><span class="lineno">  232</span>&#160;            <span class="comment">//if(s.Pddk == 0.0)</span></div>
<div class="line"><a name="l00233"></a><span class="lineno">  233</span>&#160;            <span class="comment">//    printf(&quot;[Error] Output covariance is null !&quot;);</span></div>
<div class="line"><a name="l00234"></a><span class="lineno">  234</span>&#160;            <span class="comment">// May not occur as soon as the observation noise covariance is set != 0.0</span></div>
<div class="line"><a name="l00235"></a><span class="lineno">  235</span>&#160;</div>
<div class="line"><a name="l00236"></a><span class="lineno">  236</span>&#160;            <span class="comment">// Eq. 3.144</span></div>
<div class="line"><a name="l00237"></a><span class="lineno">  237</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> i = 0 ; i &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> ; ++i)</div>
<div class="line"><a name="l00238"></a><span class="lineno">  238</span>&#160;                s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a38805bd633ec390fdb6486bc7389ca57">Kk</a>-&gt;data[i] = s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#accb6e58e82a745f2292a5cb7ffef663d">Pwdk</a>-&gt;data[i] / s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a7d0a7fe12af4c2f62856e39a04b837f3">Pddk</a>;</div>
<div class="line"><a name="l00239"></a><span class="lineno">  239</span>&#160;</div>
<div class="line"><a name="l00240"></a><span class="lineno">  240</span>&#160;            <span class="comment">// Eq 3.145</span></div>
<div class="line"><a name="l00241"></a><span class="lineno">  241</span>&#160;            <span class="comment">// wk = w_(k-1) + Kk * (dk - d_mean)</span></div>
<div class="line"><a name="l00242"></a><span class="lineno">  242</span>&#160;            s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a45f5f1fa6e87cebe200fcf8eec39f314">ino_dk</a> = dk - s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#ad5f0278cb96be7b6e35fc7dc797017d9">d_mean</a>;</div>
<div class="line"><a name="l00243"></a><span class="lineno">  243</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> i = 0 ; i &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> ; ++i)</div>
<div class="line"><a name="l00244"></a><span class="lineno">  244</span>&#160;                s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a8c307cba37cbabda94b66ab911e14122">w</a>-&gt;data[i] = s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a8c307cba37cbabda94b66ab911e14122">w</a>-&gt;data[i] + s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a38805bd633ec390fdb6486bc7389ca57">Kk</a>-&gt;data[i] * s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a45f5f1fa6e87cebe200fcf8eec39f314">ino_dk</a>;</div>
<div class="line"><a name="l00245"></a><span class="lineno">  245</span>&#160;</div>
<div class="line"><a name="l00246"></a><span class="lineno">  246</span>&#160;            <span class="comment">// Eq. 3.146</span></div>
<div class="line"><a name="l00247"></a><span class="lineno">  247</span>&#160;            <span class="comment">// Pk = P_(k-1) - Pddk . Kk Kk^T</span></div>
<div class="line"><a name="l00248"></a><span class="lineno">  248</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> i = 0 ; i &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> ; ++i)</div>
<div class="line"><a name="l00249"></a><span class="lineno">  249</span>&#160;            {</div>
<div class="line"><a name="l00250"></a><span class="lineno">  250</span>&#160;                gsl_matrix_set(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#af6086947a5a8f78a95aa3516e18c7294">Kk_mat</a>, i, 0, s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a38805bd633ec390fdb6486bc7389ca57">Kk</a>-&gt;data[i]);</div>
<div class="line"><a name="l00251"></a><span class="lineno">  251</span>&#160;                gsl_matrix_set(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3a69fb0e46993d5c5cbde4dee44e2c8f">Kk_mat_T</a>, 0, i, s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a38805bd633ec390fdb6486bc7389ca57">Kk</a>-&gt;data[i]);</div>
<div class="line"><a name="l00252"></a><span class="lineno">  252</span>&#160;            }</div>
<div class="line"><a name="l00253"></a><span class="lineno">  253</span>&#160;            gsl_blas_dgemm(CblasNoTrans,CblasNoTrans,-s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a7d0a7fe12af4c2f62856e39a04b837f3">Pddk</a>, s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#af6086947a5a8f78a95aa3516e18c7294">Kk_mat</a>, s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3a69fb0e46993d5c5cbde4dee44e2c8f">Kk_mat_T</a>,1.0,s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a76c3898aa1b1d0957f3d483e7bb738f4">Pk</a>);</div>
<div class="line"><a name="l00254"></a><span class="lineno">  254</span>&#160;</div>
<div class="line"><a name="l00255"></a><span class="lineno">  255</span>&#160;            <span class="comment">// Update of the evolution noise</span></div>
<div class="line"><a name="l00256"></a><span class="lineno">  256</span>&#160;            p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a84f1c71ab2cd9fc6063790e9942637bd">evolution_noise</a>-&gt;<a class="code" href="classukf_1_1parameter_1_1EvolutionNoise.html#a0e8cfcc123ead6c1621b47763065740e">updateEvolutionNoise</a>(p,s);</div>
<div class="line"><a name="l00257"></a><span class="lineno">  257</span>&#160;        }</div>
<div class="line"><a name="l00258"></a><span class="lineno">  258</span>&#160;</div>
<div class="line"><a name="l00263"></a><span class="lineno">  263</span>&#160;        <span class="keyword">template</span> &lt;<span class="keyword">typename</span> FunctObj&gt;</div>
<div class="line"><a name="l00264"></a><span class="lineno"><a class="line" href="namespaceukf_1_1parameter.html#a9b3034fa2b941068c2fc0fea41cbd5fb">  264</a></span>&#160;        <span class="keyword">inline</span> <span class="keywordtype">void</span> <a class="code" href="namespaceukf_1_1parameter.html#a9b3034fa2b941068c2fc0fea41cbd5fb">ukf_scalar_evaluate</a>(<a class="code" href="structukf_1_1parameter_1_1ukf__param.html">ukf_param</a> &amp;p, <a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html">ukf_scalar_state</a> &amp;s, FunctObj g, gsl_vector * xk, <span class="keywordtype">double</span> &amp;dk)</div>
<div class="line"><a name="l00265"></a><span class="lineno">  265</span>&#160;        {</div>
<div class="line"><a name="l00266"></a><span class="lineno">  266</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00267"></a><span class="lineno">  267</span>&#160;            <span class="comment">// ************ Compute the sigma points ************ //</span></div>
<div class="line"><a name="l00268"></a><span class="lineno">  268</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00269"></a><span class="lineno">  269</span>&#160;</div>
<div class="line"><a name="l00270"></a><span class="lineno">  270</span>&#160;            <span class="comment">// 1- Compute the cholesky decomposition of Pk</span></div>
<div class="line"><a name="l00271"></a><span class="lineno">  271</span>&#160;            gsl_matrix_memcpy(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3cdfb50a225e11f42fa4efaa99e80e6b">temp_n_n</a>, s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a76c3898aa1b1d0957f3d483e7bb738f4">Pk</a>);</div>
<div class="line"><a name="l00272"></a><span class="lineno">  272</span>&#160;            gsl_linalg_cholesky_decomp(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3cdfb50a225e11f42fa4efaa99e80e6b">temp_n_n</a>);</div>
<div class="line"><a name="l00273"></a><span class="lineno">  273</span>&#160;</div>
<div class="line"><a name="l00274"></a><span class="lineno">  274</span>&#160;            <span class="comment">// 2 - Set all the elements of Sk_temp strictly above the diagonal to zero</span></div>
<div class="line"><a name="l00275"></a><span class="lineno">  275</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> k = 0 ; k &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> ; k++)</div>
<div class="line"><a name="l00276"></a><span class="lineno">  276</span>&#160;                <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = 0 ; j &lt; k ; j++)</div>
<div class="line"><a name="l00277"></a><span class="lineno">  277</span>&#160;                    gsl_matrix_set(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3cdfb50a225e11f42fa4efaa99e80e6b">temp_n_n</a>,j,k,0.0);</div>
<div class="line"><a name="l00278"></a><span class="lineno">  278</span>&#160;            <span class="comment">// Now Sk_temp is a lower triangular matrix containing the cholesky decomposition of Pk</span></div>
<div class="line"><a name="l00279"></a><span class="lineno">  279</span>&#160;</div>
<div class="line"><a name="l00280"></a><span class="lineno">  280</span>&#160;            <span class="comment">// 3- Compute the sigma points</span></div>
<div class="line"><a name="l00281"></a><span class="lineno">  281</span>&#160;            <span class="comment">// Equations 3.138</span></div>
<div class="line"><a name="l00282"></a><span class="lineno">  282</span>&#160;            <span class="comment">// w_k^j = w_(k-1)  &lt;-- this is here denoted s.w</span></div>
<div class="line"><a name="l00283"></a><span class="lineno">  283</span>&#160;            <span class="comment">// w_k^j = w_(k-1) + gamma Sk_j for 1 &lt;= j &lt;= n</span></div>
<div class="line"><a name="l00284"></a><span class="lineno">  284</span>&#160;            <span class="comment">// w_k^j = w_(k-1) - gamma Sk_j for n+1 &lt;= j &lt;= 2n</span></div>
<div class="line"><a name="l00285"></a><span class="lineno">  285</span>&#160;            gsl_matrix_set_col(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1cadccc5a4ad055f778de024eb0ba206">sigmaPoints</a>,0, s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a8c307cba37cbabda94b66ab911e14122">w</a>);</div>
<div class="line"><a name="l00286"></a><span class="lineno">  286</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = 1 ; j &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>+1 ; j++)</div>
<div class="line"><a name="l00287"></a><span class="lineno">  287</span>&#160;                <span class="keywordflow">for</span>(<span class="keywordtype">int</span> i = 0 ; i &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> ; ++i)</div>
<div class="line"><a name="l00288"></a><span class="lineno">  288</span>&#160;                    gsl_matrix_set(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1cadccc5a4ad055f778de024eb0ba206">sigmaPoints</a>, i, j, gsl_vector_get(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a8c307cba37cbabda94b66ab911e14122">w</a>, i) + p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a6970c2f5c4289c9fa1fe95d83b69e579">gamma</a> * gsl_matrix_get(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3cdfb50a225e11f42fa4efaa99e80e6b">temp_n_n</a>,i,j-1));</div>
<div class="line"><a name="l00289"></a><span class="lineno">  289</span>&#160;</div>
<div class="line"><a name="l00290"></a><span class="lineno">  290</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>+1 ; j &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#adf4a8620c9c81e339861b1c8a40f8809">nbSamples</a> ; j++)</div>
<div class="line"><a name="l00291"></a><span class="lineno">  291</span>&#160;                <span class="keywordflow">for</span>(<span class="keywordtype">int</span> i = 0 ; i &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a> ; ++i)</div>
<div class="line"><a name="l00292"></a><span class="lineno">  292</span>&#160;                    gsl_matrix_set(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1cadccc5a4ad055f778de024eb0ba206">sigmaPoints</a>, i, j, gsl_vector_get(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a8c307cba37cbabda94b66ab911e14122">w</a>, i) - p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#a6970c2f5c4289c9fa1fe95d83b69e579">gamma</a> * gsl_matrix_get(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3cdfb50a225e11f42fa4efaa99e80e6b">temp_n_n</a>,i,j-(p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">n</a>+1)));</div>
<div class="line"><a name="l00293"></a><span class="lineno">  293</span>&#160;</div>
<div class="line"><a name="l00294"></a><span class="lineno">  294</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00295"></a><span class="lineno">  295</span>&#160;            <span class="comment">// ***** Compute the images of the sigma points ***** //</span></div>
<div class="line"><a name="l00296"></a><span class="lineno">  296</span>&#160;            <span class="comment">// ************************************************** //</span></div>
<div class="line"><a name="l00297"></a><span class="lineno">  297</span>&#160;</div>
<div class="line"><a name="l00298"></a><span class="lineno">  298</span>&#160;            <span class="comment">// Compute the images of the sigma points</span></div>
<div class="line"><a name="l00299"></a><span class="lineno">  299</span>&#160;            <span class="comment">// and their mean</span></div>
<div class="line"><a name="l00300"></a><span class="lineno">  300</span>&#160;            dk = 0.0;</div>
<div class="line"><a name="l00301"></a><span class="lineno">  301</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = 0 ; j &lt; p.<a class="code" href="structukf_1_1parameter_1_1ukf__param.html#adf4a8620c9c81e339861b1c8a40f8809">nbSamples</a> ; j++)</div>
<div class="line"><a name="l00302"></a><span class="lineno">  302</span>&#160;            {</div>
<div class="line"><a name="l00303"></a><span class="lineno">  303</span>&#160;                gsl_matrix_get_col(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1700b94e574aa8422d87f9ba6ecb9ac5">wk</a>, s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1cadccc5a4ad055f778de024eb0ba206">sigmaPoints</a>,j);</div>
<div class="line"><a name="l00304"></a><span class="lineno">  304</span>&#160;                <span class="comment">// Update the mean : d_mean = sum_[j=0..2n] w_j y_j</span></div>
<div class="line"><a name="l00305"></a><span class="lineno">  305</span>&#160;                dk += gsl_vector_get(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a031c486f1321fbbe7c7fd5b5f47f37e8">wm</a>,j) * g(s.<a class="code" href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1700b94e574aa8422d87f9ba6ecb9ac5">wk</a>,xk);</div>
<div class="line"><a name="l00306"></a><span class="lineno">  306</span>&#160;            }</div>
<div class="line"><a name="l00307"></a><span class="lineno">  307</span>&#160;        }</div>
<div class="line"><a name="l00308"></a><span class="lineno">  308</span>&#160;</div>
<div class="line"><a name="l00309"></a><span class="lineno">  309</span>&#160;    } <span class="comment">// parameter</span></div>
<div class="line"><a name="l00310"></a><span class="lineno">  310</span>&#160;} <span class="comment">// ukf</span></div>
<div class="line"><a name="l00311"></a><span class="lineno">  311</span>&#160;</div>
<div class="line"><a name="l00312"></a><span class="lineno">  312</span>&#160;<span class="preprocessor">#endif // UKF_PARAMETER_SCALAR_H</span></div>
<div class="ttc" id="namespaceukf_1_1parameter_html_a4f5d4fb6f2a2be962a1528a40f8c9562"><div class="ttname"><a href="namespaceukf_1_1parameter.html#a4f5d4fb6f2a2be962a1528a40f8c9562">ukf::parameter::ukf_scalar_init</a></div><div class="ttdeci">void ukf_scalar_init(ukf_param &amp;p, ukf_scalar_state &amp;s)</div><div class="ttdoc">Allocation of the vectors/matrices and initialization. </div><div class="ttdef"><b>Definition:</b> ukf_parameter_scalar.h:42</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__param_html_a84f1c71ab2cd9fc6063790e9942637bd"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__param.html#a84f1c71ab2cd9fc6063790e9942637bd">ukf::parameter::ukf_param::evolution_noise</a></div><div class="ttdeci">EvolutionNoise * evolution_noise</div><div class="ttdoc">Parameter used for the evolution noise. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:96</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a75661c414eec01eaea6912dd3518da94"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a75661c414eec01eaea6912dd3518da94">ukf::parameter::ukf_scalar_state::cSk</a></div><div class="ttdeci">gsl_vector * cSk</div><div class="ttdoc">Vector holding one column of Sk, of size . </div><div class="ttdef"><b>Definition:</b> ukf_types.h:196</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a8c307cba37cbabda94b66ab911e14122"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a8c307cba37cbabda94b66ab911e14122">ukf::parameter::ukf_scalar_state::w</a></div><div class="ttdeci">gsl_vector * w</div><div class="ttdoc">Parameter vector, of size . </div><div class="ttdef"><b>Definition:</b> ukf_types.h:176</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_accb6e58e82a745f2292a5cb7ffef663d"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#accb6e58e82a745f2292a5cb7ffef663d">ukf::parameter::ukf_scalar_state::Pwdk</a></div><div class="ttdeci">gsl_vector * Pwdk</div><div class="ttdoc">Covariance of : , of size . </div><div class="ttdef"><b>Definition:</b> ukf_types.h:156</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a620c64bdfb59efd6f265c3c4f2422b6b"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a620c64bdfb59efd6f265c3c4f2422b6b">ukf::parameter::ukf_scalar_state::dk</a></div><div class="ttdeci">gsl_vector * dk</div><div class="ttdoc">Temporary vector holding the image of the sigma points, of size . </div><div class="ttdef"><b>Definition:</b> ukf_types.h:215</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a5b8734c808816fa4535dbb596add9fa5"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a5b8734c808816fa4535dbb596add9fa5">ukf::parameter::ukf_scalar_state::Peek</a></div><div class="ttdeci">double Peek</div><div class="ttdoc">Covariance of the observation noise. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:166</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html">ukf::parameter::ukf_scalar_state</a></div><div class="ttdoc">Pointer to the function to approximate in the scalar case. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:136</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__param_html_a6226f46479a98fdeb1321d49680e76ed"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__param.html#a6226f46479a98fdeb1321d49680e76ed">ukf::parameter::ukf_param::kpa</a></div><div class="ttdeci">double kpa</div><div class="ttdoc">,  is a good choice. According to van der Merwe, its value is not critical </div><div class="ttdef"><b>Definition:</b> ukf_types.h:60</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a1700b94e574aa8422d87f9ba6ecb9ac5"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1700b94e574aa8422d87f9ba6ecb9ac5">ukf::parameter::ukf_scalar_state::wk</a></div><div class="ttdeci">gsl_vector * wk</div><div class="ttdoc">Temporary vector, holding a sigma-point. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:181</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a07ddb2ac7ff30dbce761ffc75abf7c16"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a07ddb2ac7ff30dbce761ffc75abf7c16">ukf::parameter::ukf_scalar_state::Sk</a></div><div class="ttdeci">gsl_matrix * Sk</div><div class="ttdoc">Matrix holding the Cholesky decomposition of , of size . </div><div class="ttdef"><b>Definition:</b> ukf_types.h:191</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a76c3898aa1b1d0957f3d483e7bb738f4"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a76c3898aa1b1d0957f3d483e7bb738f4">ukf::parameter::ukf_scalar_state::Pk</a></div><div class="ttdeci">gsl_matrix * Pk</div><div class="ttdoc">Covariance matrix of the parameters, of size . </div><div class="ttdef"><b>Definition:</b> ukf_types.h:186</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_ad5f0278cb96be7b6e35fc7dc797017d9"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#ad5f0278cb96be7b6e35fc7dc797017d9">ukf::parameter::ukf_scalar_state::d_mean</a></div><div class="ttdeci">double d_mean</div><div class="ttdoc">Variable holding the mean of the sigma points image. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:225</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__param_html_ade187fc4a6cf6c6e9a1fcb5cf8898985"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__param.html#ade187fc4a6cf6c6e9a1fcb5cf8898985">ukf::parameter::ukf_param::observation_noise</a></div><div class="ttdeci">double observation_noise</div><div class="ttdoc">Covariance of the observation noise. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:101</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__param_html"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__param.html">ukf::parameter::ukf_param</a></div><div class="ttdoc">Structure holding the parameters of the Unscented Kalman Filter. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:55</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__param_html_a3afc7edee6fb3dd28849f2219c079b30"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__param.html#a3afc7edee6fb3dd28849f2219c079b30">ukf::parameter::ukf_param::beta</a></div><div class="ttdeci">double beta</div><div class="ttdoc">Non negative weights used to introduce knowledge about the higher order moments of the distribution...</div><div class="ttdef"><b>Definition:</b> ukf_types.h:70</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a3cdfb50a225e11f42fa4efaa99e80e6b"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3cdfb50a225e11f42fa4efaa99e80e6b">ukf::parameter::ukf_scalar_state::temp_n_n</a></div><div class="ttdeci">gsl_matrix * temp_n_n</div><div class="ttdoc">Temporary matrix. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:240</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__param_html_afdb1ce39c4a72e31df41314e2e4c4090"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__param.html#afdb1ce39c4a72e31df41314e2e4c4090">ukf::parameter::ukf_param::n</a></div><div class="ttdeci">int n</div><div class="ttdoc">Number of parameters to estimate. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:111</div></div>
<div class="ttc" id="classukf_1_1parameter_1_1EvolutionNoise_html_a2a855aa21905c741e7a97661d06d692b"><div class="ttname"><a href="classukf_1_1parameter_1_1EvolutionNoise.html#a2a855aa21905c741e7a97661d06d692b">ukf::parameter::EvolutionNoise::init</a></div><div class="ttdeci">void init(ukf_param &amp;p, ukf_state &amp;s)</div><div class="ttdef"><b>Definition:</b> ukf_types.h:395</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a031c486f1321fbbe7c7fd5b5f47f37e8"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a031c486f1321fbbe7c7fd5b5f47f37e8">ukf::parameter::ukf_scalar_state::wm</a></div><div class="ttdeci">gsl_vector * wm</div><div class="ttdoc">Weights used to compute the mean of the sigma points&#39; images. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:203</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a45f5f1fa6e87cebe200fcf8eec39f314"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a45f5f1fa6e87cebe200fcf8eec39f314">ukf::parameter::ukf_scalar_state::ino_dk</a></div><div class="ttdeci">double ino_dk</div><div class="ttdoc">Innovation. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:220</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__param_html_a41e15863dacadc709c856810fec793da"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__param.html#a41e15863dacadc709c856810fec793da">ukf::parameter::ukf_param::alpha</a></div><div class="ttdeci">double alpha</div><div class="ttdoc"> : &quot;Size&quot; of sigma-point distribution. Should be small if the function is strongly non-linear ...</div><div class="ttdef"><b>Definition:</b> ukf_types.h:65</div></div>
<div class="ttc" id="namespaceukf_1_1parameter_html_ae4830e1c0b576662494d63623dcf59dc"><div class="ttname"><a href="namespaceukf_1_1parameter.html#ae4830e1c0b576662494d63623dcf59dc">ukf::parameter::ukf_scalar_iterate</a></div><div class="ttdeci">void ukf_scalar_iterate(ukf_param &amp;p, ukf_scalar_state &amp;s, FunctObj g, gsl_vector *xk, double dk)</div><div class="ttdoc">Iteration for UKF for parameter estimation, in case of a scalar output. </div><div class="ttdef"><b>Definition:</b> ukf_parameter_scalar.h:154</div></div>
<div class="ttc" id="ukf__types_8h_html"><div class="ttname"><a href="ukf__types_8h.html">ukf_types.h</a></div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_aac9cf03ea34ad6cbe04c56143e16d38d"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#aac9cf03ea34ad6cbe04c56143e16d38d">ukf::parameter::ukf_scalar_state::Prrk</a></div><div class="ttdeci">gsl_matrix * Prrk</div><div class="ttdoc">Covariance of the evolution noise. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:161</div></div>
<div class="ttc" id="namespaceukf_1_1parameter_html_a18d91f67e6de67928a223b50950ffdae"><div class="ttname"><a href="namespaceukf_1_1parameter.html#a18d91f67e6de67928a223b50950ffdae">ukf::parameter::ukf_scalar_free</a></div><div class="ttdeci">void ukf_scalar_free(ukf_param &amp;p, ukf_scalar_state &amp;s)</div><div class="ttdoc">Free of memory allocation. </div><div class="ttdef"><b>Definition:</b> ukf_parameter_scalar.h:123</div></div>
<div class="ttc" id="ukf__math_8h_html"><div class="ttname"><a href="ukf__math_8h.html">ukf_math.h</a></div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_af6086947a5a8f78a95aa3516e18c7294"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#af6086947a5a8f78a95aa3516e18c7294">ukf::parameter::ukf_scalar_state::Kk_mat</a></div><div class="ttdeci">gsl_matrix * Kk_mat</div><div class="ttdoc">Temporary matrix for the kalman gain, a matrix of size . </div><div class="ttdef"><b>Definition:</b> ukf_types.h:146</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__param_html_a989e990467f45b35957f7db9bd40a5e0"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__param.html#a989e990467f45b35957f7db9bd40a5e0">ukf::parameter::ukf_param::lambda</a></div><div class="ttdeci">double lambda</div><div class="ttdoc"> </div><div class="ttdef"><b>Definition:</b> ukf_types.h:75</div></div>
<div class="ttc" id="classukf_1_1parameter_1_1EvolutionNoise_html_a0e8cfcc123ead6c1621b47763065740e"><div class="ttname"><a href="classukf_1_1parameter_1_1EvolutionNoise.html#a0e8cfcc123ead6c1621b47763065740e">ukf::parameter::EvolutionNoise::updateEvolutionNoise</a></div><div class="ttdeci">virtual void updateEvolutionNoise(ukf_param &amp;p, ukf_state &amp;s)=0</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a3a69fb0e46993d5c5cbde4dee44e2c8f"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a3a69fb0e46993d5c5cbde4dee44e2c8f">ukf::parameter::ukf_scalar_state::Kk_mat_T</a></div><div class="ttdeci">gsl_matrix * Kk_mat_T</div><div class="ttdoc">Temporary matrix for the transpose of the kalman gain, a matrix of size . </div><div class="ttdef"><b>Definition:</b> ukf_types.h:151</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a62efc5e8af8f11b1e149f59494b55725"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a62efc5e8af8f11b1e149f59494b55725">ukf::parameter::ukf_scalar_state::wc</a></div><div class="ttdeci">gsl_vector * wc</div><div class="ttdoc">Weights used to update the covariance matrices. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:210</div></div>
<div class="ttc" id="namespaceukf_1_1parameter_html_a9b3034fa2b941068c2fc0fea41cbd5fb"><div class="ttname"><a href="namespaceukf_1_1parameter.html#a9b3034fa2b941068c2fc0fea41cbd5fb">ukf::parameter::ukf_scalar_evaluate</a></div><div class="ttdeci">void ukf_scalar_evaluate(ukf_param &amp;p, ukf_scalar_state &amp;s, FunctObj g, gsl_vector *xk, double &amp;dk)</div><div class="ttdoc">Evaluation of the output from the sigma points. </div><div class="ttdef"><b>Definition:</b> ukf_parameter_scalar.h:264</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a38805bd633ec390fdb6486bc7389ca57"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a38805bd633ec390fdb6486bc7389ca57">ukf::parameter::ukf_scalar_state::Kk</a></div><div class="ttdeci">gsl_vector * Kk</div><div class="ttdoc">Kalman gain, a vector of size . </div><div class="ttdef"><b>Definition:</b> ukf_types.h:141</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a1d47ad23b7280b0a73170d19628ecdde"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1d47ad23b7280b0a73170d19628ecdde">ukf::parameter::ukf_scalar_state::temp_n</a></div><div class="ttdeci">gsl_vector * temp_n</div><div class="ttdoc">Temporary vector. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:235</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__param_html_a898c9583fba45551ae39213dd2b212ba"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__param.html#a898c9583fba45551ae39213dd2b212ba">ukf::parameter::ukf_param::prior_pi</a></div><div class="ttdeci">double prior_pi</div><div class="ttdoc">Prior estimate of the covariance matrix. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:106</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a7d0a7fe12af4c2f62856e39a04b837f3"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a7d0a7fe12af4c2f62856e39a04b837f3">ukf::parameter::ukf_scalar_state::Pddk</a></div><div class="ttdeci">double Pddk</div><div class="ttdoc">Covariance of the output. </div><div class="ttdef"><b>Definition:</b> ukf_types.h:171</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__param_html_a6970c2f5c4289c9fa1fe95d83b69e579"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__param.html#a6970c2f5c4289c9fa1fe95d83b69e579">ukf::parameter::ukf_param::gamma</a></div><div class="ttdeci">double gamma</div><div class="ttdoc"> </div><div class="ttdef"><b>Definition:</b> ukf_types.h:80</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__scalar__state_html_a1cadccc5a4ad055f778de024eb0ba206"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__scalar__state.html#a1cadccc5a4ad055f778de024eb0ba206">ukf::parameter::ukf_scalar_state::sigmaPoints</a></div><div class="ttdeci">gsl_matrix * sigmaPoints</div><div class="ttdoc">Matrix holding the sigma points in the columns, of size . </div><div class="ttdef"><b>Definition:</b> ukf_types.h:230</div></div>
<div class="ttc" id="structukf_1_1parameter_1_1ukf__param_html_adf4a8620c9c81e339861b1c8a40f8809"><div class="ttname"><a href="structukf_1_1parameter_1_1ukf__param.html#adf4a8620c9c81e339861b1c8a40f8809">ukf::parameter::ukf_param::nbSamples</a></div><div class="ttdeci">int nbSamples</div><div class="ttdoc"> Number of sigma-points </div><div class="ttdef"><b>Definition:</b> ukf_types.h:116</div></div>
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